Testing for a Linear Unit Root against Nonlinear Threshold Stationarity
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- Laurence Copeland & Saeed Heravi, 2009.
"Structural breaks in the real exchange rate adjustment mechanism,"
Applied Financial Economics,
Taylor & Francis Journals, vol. 19(2), pages 121-134.
- Copeland, Laurence & Heravi, Saeed, 2006. "Structural Breaks in the Real Exchange Rate Adjustment Mechanism," Cardiff Economics Working Papers E2006/21, Cardiff University, Cardiff Business School, Economics Section.
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Keywordsself-exciting threshold autogressive model; exponentially ergodic process; unit roots; thresholds cointegration; Wald tests; critical values; Monte Carlo simulations;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-04-25 (All new papers)
- NEP-ECM-2004-04-25 (Econometrics)
- NEP-ETS-2004-04-25 (Econometric Time Series)
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